Value-at-RiskVaR
0.61
↓
0.001%
from yesterday
Expected ShortfallES
0.77
↓
0.002%
from yesterday
25% Drop Probability25% Drop
1.2%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
83.3years
↑
0.276%
from yesterday
Model RiskModel Risk
2.38
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.79 | 0.35 | 0.44 | 0.46 | 0.83 | 0.61 | 2.38 |
| ES | 1.09 | 0.9 | 0.4 | 0.5 | 0.58 | 1.13 | 0.77 | 2.84 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
